Continuous-time autoregressive moving average processes in discrete time: representation and embeddability
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Publication:5397972
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Cites work
- scientific article; zbMATH DE number 3854249 (Why is no real title available?)
- scientific article; zbMATH DE number 1515429 (Why is no real title available?)
- A Class of Non-Embeddable ARMA Processes
- A NOTE ON EMBEDDING A DISCRETE PARAMETER ARMA MODEL IN A CONTINUOUS PARAMETER ARMA MODEL
- A NOTE ON THE EMBEDDING OF DISCRETE‐TIME ARMA PROCESSES
- DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
- DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
- Deriving the exact discrete analog of a continuous time system
- Discrete time representation of stationary and non-stationary continuous time systems
- Embedding a Gaussian discrete‐time autoregressive moving average process in a Gaussian continuous‐time autoregressive moving average process
- Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models
- High-frequency sampling of a continuous-time ARMA process
- Interpolating exogenous variables in continuous time dynamic models
- ON EMBEDDING A DISCRETE-PARAMETER ARMA MODEL IN A CONTINUOUS-PARAMETER ARMA MODEL
- On continuous-time autoregressive fractionally integrated moving average processes
- Representations of continuous-time ARMA processes
- THE ESTIMATION OF PARAMETERS IN SYSTEMS OF STOCHASTIC DIFFERENTIAL EQUATIONS
- Temporal Aggregation of Stationary and Non‐stationary Continuous‐Time Processes
Cited in
(11)- Cointegrated continuous-time linear state-space and MCARMA models
- Testing for a unit root in a near-integrated model with skip-sampled data
- A novel first-order autoregressive moving average model to analyze discrete-time series irregularly observed
- Sampling, embedding and inference for CARMA processes
- Filling the gap between Continuous and Discrete Time Dynamics of Autoregressive Processes
- A note on the embeddability conditions in the case of integrated CARMA (2, 1) stochastic process with single and double zero roots
- DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
- Some computational aspects of Gaussian CARMA modelling
- scientific article; zbMATH DE number 1515429 (Why is no real title available?)
- Embedding in law of discrete time ARMA processes in continuous time stationary processes
- Recent results in the theory and applications of CARMA processes
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